no code implementations • 24 Feb 2024 • Florian Aichinger, Sascha Desmettre
Geometric Asian options are a type of options where the payoff depends on the geometric mean of the underlying asset over a certain period of time.
no code implementations • 16 Nov 2023 • Sascha Desmettre, Sebastian Merkel, Annalena Mickel, Alexander Steinicke
We study and solve the worst-case optimal portfolio problem as pioneered by Korn and Wilmott (2002) of an investor with logarithmic preferences facing the possibility of a market crash with stochastic market coefficients by enhancing the martingale approach developed by Seifried in 2010.
no code implementations • 13 Jun 2023 • Christian Laudagé, Florian Aichinger, Sascha Desmettre
To evaluate the model adequacy, we provide simulations of the spot price as well as a posterior predictive check for the 3- and the 4-factor model.
no code implementations • 26 Apr 2022 • Alexander Brunhuemer, Lukas Larcher, Philipp Seidl, Sascha Desmettre, Johannes Kofler, Gerhard Larcher
In this working paper we present our current progress in the training of machine learning models to execute short option strategies on the S&P500.
no code implementations • 25 Oct 2019 • Sascha Desmettre, Gunther Leobacher, L. C. G. Rogers
It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same volatility but a different drift.
no code implementations • 28 Sep 2018 • Sascha Desmettre
When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption that the Feller condition is satisfied.
no code implementations • 27 Sep 2018 • Nicole Bäuerle, Sascha Desmettre
We consider a fractional version of the Heston volatility model which is inspired by [16].